分类存档: 企业生活

迪尔伯特式的想法

近代罗宾汉

另一天, 我是看在比尔·盖茨 每日秀乔恩斯图尔特 — 我最喜爱的电视节目. 盖茨谈到了他的计划花费数十亿自己的美元的疫苗, 教育和通过其他人道主义项目,他的 基金会. 显然热衷于他的慈善努力, 盖茨表现出温和的一面在微软样的企业闯荡,十年前是不可见.

也许,盖茨是一个充满激情的自然家伙, 他是否是写微小的操作系统,将适合在软盘或巨兽的人,将适合无处, 无论是在技术创新或营销巫术, 是否贪婪地积累了数十亿或, 像现在, 花钱亲切. 但归结他的慈善事业,以他天生热爱他所做的一切是不公平的, 并降低其价值. 毕竟, 他本来可以花 (or at least, 想花) 他的钱在自己身上一样热情. 这就是为什么我认为他是现代的罗宾汉, 尽管我对任何微软相关的令人讨厌的反感, 这也许只是一个怪胎,现在约, 而不是实际的意识形态.

罗宾汉从富人偷,交给穷人的浪漫的想法有一个严重漏洞. 他是一个逃犯. 与作为一个逃犯的麻烦是,法律体系的全部威力,可提请承担你相当独立的活动的道德. 在门的情况下,, 它会像微软盗用国库十亿分发给无家可归者, 例如. 他做了什么, 代替, 是赚钱的股市 (哪, 当然, 是一个合法的一种监守自盗) 然后分给穷人. 换句话说, 他留在系统内,并找到一种方法来将其翻过来给他的人道主义目的. 如果这是他沿着希望所有, 荣誉对他!

但是,这是什么 “系统” 我们必须从内工作? 这是另一天的话题参与. 敬请关注!

中年危机,,en,在我最近的帖子之一,,en,我的一位精明的朋友发现了一种中年危机,,en,通常在中年左右,,en,我们很多人觉得它很无聊,,en,整个东西,,en,它怎么会不令人厌烦,,en,我们在各个层面反复重复同样的世俗事物,,en,有时我们设法说服自己,世俗的事情不是世俗的,,en,但重要,,en,并在我们的存在上覆盖更高的目标,,en,信心有所帮助,,en,人类的束缚也是如此,,en,不管我们如何看待它,,en,我们都把自己的私人石头推到了山顶上,,en,只是为了在一天结束时看到它下滑,,en,知道它总是会,,en,我们自己的个人西西弗斯,,en,诅咒这一切的最终无用和荒谬,,en,仿佛置顶了,,en,我们的知识,,en,为什么加缪说我们经历了西西弗斯的生活,,en

In one of my recent posts, an astute friend of mine detected a tinge of midlife crisis. 他是对的, 当然. 在一些点, typically around midlife, a lot of us find it boring. The whole thing. How could it not be boring? We repeat the same mundane things over and over at all levels. 真, at times we manage to convince ourselves that the mundane things are not mundane, but important, and overlay a higher purpose over our existence. Faith helps. So do human bondages. 但, no matter how we look at it, we are all pushing our own personal rocks to a mountaintop, only to to see it roll down at the end of the day — knowing that it invariably will. Our own individual Sisyphuses, cursed with the ultimate futility and absurdity of it all. 和, as if to top it off, our knowledge of it!

Why did Camus say we went through the Sisyphus life? Ah, yes, 因为我们在获得思考能力之前养成了生活的习惯,,en,到中年,,en,我们的思想赶上了我们天生的生存欲望,,en,并表现为危机,,en,我们大多数人生存下来,,en,正如加缪本人指出的那样,,en,西西弗斯可能是一个快乐的人,,en,尽管必须永远将岩石推上斜坡,,en,所以我们假设它不是太危险,就让我们的思维教师去锻炼,,en,我们大多数人的日常生活都是简单的法国描述的一些变化,,en,地铁,,en,工作,,fr,渡渡鸟,,en,我们上下班,,en,为自己赚点钱,,en,对其他人更多,,en,吃同样的午餐,,en,通过相同的会议,,en,赶回家,,en,看电视,然后打开袋子,,en,偶尔参加健身课程和海外旅行,,en,这就是它,,en. By midlife, 也许, our thinking catches up with our innate existential urges, and manifests itself as a crisis. Most of us survive it, and as Camus himself pointed out, Sisyphus was probably a happy man, despite having to eternally push the rock up the slope. So let’s exercise our thinking faculty assuming it is not too dangerous.

Most of us have a daily life that is some variation of the terse French description — metro, boulot, dodo. We commute to work, make some money for ourselves (and more for somebody else), eat the same lunch, sit through the same meetings, rush back home, watch TV and hit the sack. Throw in a gym session and an overseas trip once in a while, and that’s about it. 这是无聊的,不仅因为它确实如此,,en,但也因为这是每个人都做的,,en,无数的我们,,en,在某个时间点某处出生,,en,努力获得一些钱,,en,或知识,,en,或成名,,en,或荣耀,,en,或爱,,en,西西弗斯岩石的数千种变体中的任何一种,,en,只有把它看成是另一个时间点的虚无,,en,如果这不是荒谬的,,en,如果我在这一点上离开这个职位,,en,我可以看到我的读者在寻找,,en,按钮很多,,da,做这个令人沮丧的无用推动老鼠赛跑的想法,,en,我们需要看到超越它,,en,或者有信心,,en,如果我们可以,,en,有一个目的,,en,和一切的理由,,en,而且我们并不打算知道这个难以捉摸的目的,,en,因为你正在阅读这个博客,,en, but also because this is what everybody does!

试想一下, — countless millions of us, born somewhere at some point in time, working hard to acquire some money, or knowledge, or fame, or glory, or love — any one of the thousands of variations of Sisyphus’s rock — only to see it all tumble down to nothingness an another point in time. If this isn’t absurd, what is?

If I were to leave this post at this point, I can see my readers looking for the “Unsubscribe” button en masse. To do anything useful with this depressing idea of futile rock-pushing rat-race, we need to see beyond it. Or have faith, if we can — that there is a purpose, and a justification for everything, and that we are not meant to know this elusive purpose.

Since you are reading this blog, 你可能不会订阅信仰学校,,en,让我们在其他地方寻找答案,,en,经过您的许可,我将从日语开始,,en,我对日本文化的接触来自武士电影和几次到日本的短途旅行,,en,但缺乏专业知识从未阻止我表达对某一主题的看法,,en,你为什么认为日本人喜欢这种精心照顾,并且为像倒茶一样愚蠢而自豪,,en,我认为他们正在说更深入的话,,en,倒茶不是重要的,,en,关键是没有什么是重要的,,en,一切都只是西西弗斯岩石的另一种表现,,en,什么都不重要,,en,没有什么是不重要的,,en,这是深刻的东西,,en,倒茶不下,,en,或者更多,,en,比写定量金融书更重要,,en. Let’s then look for the answer elsewhere. With your permission I will start with something Japanese. Admittedly, my exposure to the Japanese culture comes from Samurai movies and a couple of short trips to Japan, but lack of expertise has never stopped me from expressing my views on a subject. Why do you think the Japanese take such elaborate care and pride in something as silly as pouring tea?

好, I think they are saying something much deeper. It is not that pouring tea is important. The point is nothing is important. Everything is just another manifestation of the Sisyphus rock. When nothing is important, nothing is unimportant either. 现在, that is something profound. Pouring tea is no less (or more) important than writing books on quantitative finance, 或者听着那位老人在市场街上的口风琴上尝试苏珊娜的歌,,en,当你知道所有的岩石会在你达到你存在的顶峰之后就会翻倒,,en,不管你携带什么摇滚到顶端,,en,只要你运载得好,,en,而且很开心,,en,所以我尽可能地写这篇博文,,en,我最近看了,,en,潜水钟和蝴蝶,,en,潜水服和蝴蝶,,fr,其中描述了法国记者让 - 多米尼克Bauby悲惨的困境,,en,谁遭受了严重的中风,并成为,,en,锁定项。,,en,在我的研究期间,,en,我曾为这类锁定病人的康复系统做过一些工作,,en,他们认知活动正常或接近正常,但没有运动控制,,en. When you know that all rocks will come tumbling down just as soon as you reach the pinnacle of your existence, it doesn’t matter what rock you carry with you to the top. As long as you carry it well. And happily.

So I try to write this blog post as well as I possibly can.

Modeling the Models

Mathematical finance is built on a couple of assumptions. The most fundamental of them is the one on market efficiency. It states that the market prices every asset fairly, and the prices contain all the information available in the market. 换句话说, you cannot glean any more information by doing any research or technical analysis, or indeed any modeling. If this assumption doesn’t pan out, then the quant edifice we build on top of it will crumble. Some may even say that it did crumble in 2008.

We know that this assumption is not quite right. If it was, there wouldn’t be any transient arbitrage opportunities. But even at a more fundamental level, the assumption has shaky justification. The reason that the market is efficient is that the practitioners take advantage of every little arbitrage opportunity. 换句话说, the markets are efficient because they are not so efficient at some transient level.

Mark Joshi, in his well-respected book, “The Concepts and Practice of Mathematical Finance,” points out that Warren Buffet made a bundle of money by refusing to accept the assumption of market efficiency. 事实上, the weak form of market efficiency comes about because there are thousands of Buffet wannabes who keep their eyes glued to the ticker tapes, waiting for that elusive mispricing to show up.

Given that the quant careers, and literally trillions of dollars, are built on the strength of this assumption, we have to ask this fundamental question. Is it wise to trust this assumption? Are there limits to it?

Let’s take an analogy from physics. I have this glass of water on my desk now. Still water, in the absence of any turbulence, has a flat surface. We all know whygravity and surface tension and all that. But we also know that the molecules in water are in random motion, in accordance with the same Brownian process that we readily adopted in our quant world. One possible random configuration is that half the molecules move, 说, to the left, and the other half to the right (so that the net momentum is zero).

If that happens, the glass on my desk will break and it will make a terrible mess. But we haven’t heard of such spontaneous messes (from someone other than our kids, that is.)

The question then is, can we accept the assumption on the predictability of the surface of water although we know that the underlying motion is irregular and random? (I am trying to make a rather contrived analogy to the assumption on market efficiency despite the transient irregularities.) The answer is a definite yes. 当然, we take the flatness of liquid surfaces for granted in everything from the useless lift-pumps and siphons of our grade school physics books all the way to dams and hydro-electric projects.

So what am I quibbling about? Why do I harp on the possibility of uncertain foundations? I have two reasons. One is the question of scale. In our example of surface flatness vs. random motion, we looked at a very large collection, 哪里, through the central limit theorem and statistical mechanics, we expect nothing but regular behavior. If I was studying, 例如, how an individual virus propagates through the blood stream, I shouldn’t make any assumptions on the regularity in the behavior of water molecules. This matter of scale applies to quantitative finance as well. Are we operating at the right scale to ignore the shakiness of the market efficiency assumption?

The second reason for mistrusting the pricing models is a far more insidious one. Let me see if I can present it rather dramatically using my example of the tumbler of water. Suppose we make a model for the flatness of the water surface, and the tiny ripples on it as perturbations or something. Then we proceed to use this model to extract tiny amounts of energy from the ripples.

The fact that we are using the model impacts the flatness or the nature of the ripples, affecting the underlying assumptions of the model. 现在, imagine that a large number of people are using the same model to extract as much energy as they can from this glass of water. My hunch is that it will create large scale oscillations, perhaps generating configurations that do indeed break the glass and make a mess. Discounting the fact that this hunch has its root more in the financial mess that spontaneously materialized rather than any solid physics argument, we can still see that large fluctuations do indeed seem to increase the energy that can be extracted. 同样, large fluctuations (and the black swans) may indeed be a side effect of modeling.

团体动力学,,en,关于“货币哲学”的一个思考,,en,特拉维斯米切尔,,en,有趣的想法,,en,当你思考这个话题,,en,这里也需要考虑,,en,为什么银行不投资?,,en,银行,,en,贷款人,,en,不是投资者,,en,大多数银行章程禁止投资,,en,由于贷款与资产挂钩,这会转移风险余额,,en,钱仍然有效,,en,但以不同的方式,,en,了解金融的这一组成部分可能是一个改变人生的事件,,en,我希望你在写书时考虑到这一点,,en,特拉维斯米切尔,,en

When researchers and academicians move to quantitative finance, they have to grapple with some culture shock. Not only does the field of finance operate at a faster pace, it also puts great emphasis on team work. It cuts wide rather than deep. Quick results that have immediate and widespread impact are better than perfect and elegant solutions that may take time to forge. We want it done quick rather than right. Academicians are just the opposite. They want to take years to mull over deep problems, often single-handedly, and come up with solutions elegant and perfect.

Coupled with this perfectionism, there is a curious tendency among academic researchers toward creating awowfactor with their results, as opposed to finance professionals who are quite content with thewowfactor in their bonuses. This subtle mismatch generates interesting manifestations. Academics who make the mid-career switch to finance tend to work either alone or in small groups, trying to perfect an impressive prototype. Banking professionals, 另一方面, try to leverage on each other (at times taking credit for other people’s work) and roll out potentially incomplete solutions as early as possible. The intellectual need for awowmay be a factor holding back at least some quant deliverables.

理财哲学

Underlying all financial activity are transactions involving money. The term “transactions” means something philosophically different in economics. It stands for exchanges of goods and services. 金钱, in economic transactions, has only a transactional value. It plays the role of a medium facilitating the exchanges. 在金融交易, 然而,, 钱成为了被交易的实体. 金融体系基本上是把钱从储蓄转化成资本. 因此,资金呈现的投资价值, 除了其固有的交易值. 这种投资价值是利益的基础.

鉴于投资价值也被测量,并在金钱上回, 我们获得复利的概念, “把钱工作。” 那些基于投资风险,他们愿意承担谁有钱需求回暖. 而现代金融体系中的作用变得平衡这种风险回报方程式中的一个.

We should keep in mind that this signification of money as investment entity is indeed a philosophical choice that we have made over the past few centuries. Other choices do exist — Islamic banking springs to mind, although its practice has be diluted by the more widely held view of money as possessing an investment value. It is fascinating to study the history and philosophy of money, but it is a topic that calls for a full-length book on its own right. Understanding money at its most fundamental level may in fact enhance our productivity — which is again measured in terms of the bottom line, consistent with the philosophy of money that enjoys currency.

回到博客…

It has been a while since I wrote anything on my blog. That doesn’t mean that I wasn’t writing. 事实上, I was very busy with 我的第二本书. I managed to send in the draft manuscript to John Wiley & Sons a couple of weeks ago, but only after the associated sleep deprivation had become a more or less habitual insomnia. I also finished everything I wanted to do on the plugin front. 现在, I am ready to blog again.

The habitualization of insomnia is probably not in vain. John Wiley and Co will get back to me with their comments and suggestions, which will keep me busy for a couple of months again working on the book. The book, 定量发展的原则, is an attempt to find the niche at the intersection of computer science, mathematical finance, and the business of trading and making money. I felt that this niche was being neglected, and the void thus created may have been the proverbial straw on the camel’s back that precipitated the current financial meltdown. In setting its sight at such a large problem from its lofty soapbox, the book indeed starts with an ambitious goal, but perhaps a timely one.

On the plugin development front, my latest contribution is a translator for other plugins. It will be of interest to fellow plugin authors and their international users. It is a fairly nifty piece of software, if I may say so myself. If you want to take a quick look, here it is. 简易翻译 and my other gem, 主题调教, may not become as popular as my other plugins (which help bloggers make money through AdSense), but they showcase ideas and programming wizardry that few other plugins do. As you can tell, I’m rather proud of them.

Back to blogging now, coming up in the next few days will be an analysis of the philosophy of money (an idea for my next book), the reasons behind quantitative professionalsfailings, and a comparison of the work-culture in a corporate machine and the idyllic (but poorly compensated) academic life. Ah, how I miss those days. There is an old Chinese saying: Be careful what you wish for; you may get it!

湿滑的斜坡

但, 这一声明在年景不好时否认奖金对整个企业的并不完全正确工作,要么, 对于各种有趣的原因. 第一, 让我们来看看AIG执行副总裁的情况下. AIG是一家大公司, 彼此独立地操作该业务单元, 就像不同的金融机构. 如果我认为AIG的家伙应该得到没有奖金,因为该公司执行一败涂地, 人们可以指出的是,金融市场作为一个整体那样严重,以及. 这是否意味着,在任何银行的任何工作人员应作出任何奖金,即使他们的特定银行那样好吗? 以及为什么停在那里? 整体经济表现糟糕. 所以, 应我们甚至所有绩效奖励? 一旦我们开始走这路, 我们最终在滑向社会主义. 而我们都知道,这个想法没有做成这么好.

关于当前奖金计划的另一点是,它已经在它掩盖了同时段,我在嘲笑我先前的职位. 真, 时间分割是在今年, 而不是由月. 如果一个交易者或行政做得好一年, 他收获的丰厚的奖金奖励. 如果他弄乱了明年, 确定, 他没有得到任何奖金, 但他仍然有他,直到一次他放手底薪. 这就像暗示在所有高空飞行的银行工作的自由选择权.

在生活的所有时间分段的看法存在这样的免费通话选项. 如果你是一个欺诈, 庞氏骗局,计划亿万富翁, 所有你需要做的就是逃避检测,直到你死. 资本主义的祸根是诈骗罪,只有当发现, 而在此之前, 你享受丰富的生活. 这一次的元素铺平了道路另一滑向欺诈和腐败行为. 同样, 它是像无限上攻和下跌看涨期权被莫名其妙地板, 无论是在持续时间和强度.

必须有两个滑的斜坡之间的平衡快乐 — 1朝着社会主义失调, 而对吃人腐败等. 它看起来对我来说,整个金融体系晃晃悠悠地上这两者之间的亚稳定平衡. 它只是滑倒在去年的一个斜坡, 我们都试图拉拢回来到栖息点. 在我看中的浪漫, 我想象一个更快乐,更稳定的平衡存在三四十年前. 在冷战的相对经济的理想是它? 或者是它在欧洲的福利国家理念, 在政府牢牢控制本国经济的制高点? 如果是这样的, 我们可以期待中国 (和印度, 或拉美) 带来了急需的重?

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利润分享

Among all the arguments for hefty bonuses, the most convincing is the one on profit generation and sharing. Profit for the customers and stakeholders, if generated by a particular executive, should be shared with him. What is wrong with that?

The last argument for bonus incentives we will look at is this one in terms of profit (and therefore shareholder value) generation. 好, shareholder value in the current financial turmoil has taken such a beating that no sane bank executive would present it as an argument. What is left then is a rather narrow definition of profit. Here it gets tricky. The profits for most financial institutes were abysmal. The argument from the AIG executive is that he and his team had nothing to do with the loss making activities, and they should receive the promised bonus. They distance themselves from the debacle and carve out their tiny niche that didn’t contribute to it. Such segmentation, although it sounds like a logical stance, is not quite right. To see its fallacy, let’s try a time segmentation. Let’s say a trader did extremely well for a few months making huge profits, and messed up during the rest of the year ending up with an overall loss. 现在, suppose he argues, “好, I did well for January, March and August. Give me my 300% for those months.” Nobody is going to buy that argument. I think what applies to time should also apply to space (遗憾, business units or asset classes, 我的意思是). If the firm performs poorly, perhaps all bonuses should disappear.

As we will see in the last post of the series, this argument for and against hefty incentives is a tricky one with some surprising implications.

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留住人才

Even after we discount hard work and inherent intelligence as the basis of generous compensation packages, we are not quite done yet.

The next argument in favour of hefty bonuses presents incentives as a means of retaining the afore-mentioned talent. Looking at the state of affairs of the financial markets, the general public may understandably quip, “What talent?” and wonder why anybody would want to retain it. That implied criticism notwithstanding, talent retention is a good argument.

As a friend of mine illustrated it with an example, suppose you have a great restaurant thanks mainly to a superlative chef. Everything is going honky dory. 然后,, out of the blue, an idiot cook of yours burns down the whole establishment. 您, 当然, sack the cook’s rear end, but would perhaps like to retain the chef on your payroll so that you have a chance of making it big again once the dust settles. 真, you don’t have a restaurant to run, but you don’t want your competitor to get his hands on your ace chef. Good argument. My friend further conceded that once you took public funding, the equation changed. You probably no longer had any say over payables, because the money was not yours.

I think the equation changes for another reason as well. When all the restaurants in town are pretty much burned down, where is your precious chef going to go? Perhaps it doesn’t take huge bonuses to retain him now.

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人才和智力

In the last post, I argued that how hard we work has nothing much to do with how much reward we should reap. 毕竟, there are taxi drivers who work longer and harder, and even more unfortunate souls in the slums of India and other poor countries.

但, I am threading on real thin ice when I compare, however obliquely, senior executives to cabbies and slum dogs. They are (the executives, 就是说) clearly a lot more talented, which brings me to the famous talent argument for bonuses. What is this talent thing? Is it intelligence and articulation? I once met a taxi driver in Bangalore who was fluent in more than a dozen languages as disparate as English and Arabic. I discovered his hidden talent by accident when he cracked up at something my father said to me — a private joke in our vernacular, which I have seldom found a non-native speaker attempt. I couldn’t help thinking then — given another place and another time, this cabbie would have been a professor in linguistics or something. Talent may be a necessary condition for success (and bonus), but it certainly is not a sufficient one. Even among slum dogs, we might find ample talent, if the Oscar-winning movie is anything to go by. Although, the protagonist in the movie does make his million dollar bonus, but it was only fiction.

In real life, 然而,, lucky accidents of circumstances play a more critical role than talent in putting us on the right side of the income divide. 对我来说,, it seems silly to claim a right to the rewards based on any perception of talent or intelligence. Heck, intelligence itself, however we define it, is nothing but a happy genetic accident.

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